Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0009 |
| Annualized Std Dev | 0.1546 |
| Annualized Sharpe (Rf=0%) | 0.0057 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4584.0000 |
| NAs | 1.0000 |
| Minimum | -0.1378 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.0877 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0097 |
| Skewness | -1.2556 |
| Kurtosis | 28.9166 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0073 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0087 |
| Downside Deviation (MAR=210%) | 0.0121 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.4899 |
| Historical VaR (95%) | -0.0133 |
| Historical ES (95%) | -0.0238 |
| Modified VaR (95%) | -0.0135 |
| Modified ES (95%) | -0.0135 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-06-17 | 2008-10-10 | 2012-10-03 | -0.4899 | 2325 | 1323 | 1002 |
| 2016-09-09 | 2020-03-18 | NA | -0.3314 | 1140 | 886 | NA |
| 2012-12-03 | 2013-12-13 | 2016-05-05 | -0.2789 | 862 | 261 | 601 |
| 2002-11-27 | 2003-02-13 | 2003-05-23 | -0.0728 | 115 | 48 | 67 |
| 2016-07-07 | 2016-07-14 | 2016-08-18 | -0.0393 | 31 | 6 | 25 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 | 0.1 | 0.7 |
| 2003 | -1.3 | 1 | 2.4 | 0.7 | -0.8 | 0.7 | 1 | 1.1 | 0.1 | -0.6 | 1.9 | 0.3 | 6.6 |
| 2004 | -0.1 | 0.1 | 0.1 | 0.5 | 0.8 | 2.2 | 0 | 0.4 | -1 | -1.9 | 0.6 | 1.3 | 3.1 |
| 2005 | 0 | 0.1 | -0.2 | -1 | -1 | -0.1 | -0.2 | 0.4 | 1 | -0.6 | -0.4 | 1.2 | -0.7 |
| 2006 | 0.7 | -0.4 | 0.2 | 0.2 | 1.5 | 0.8 | -0.1 | -0.1 | -0.4 | 0.3 | 0 | -0.3 | 2.5 |
| 2007 | -0.9 | 0 | 0.5 | 1.8 | 1.1 | -0.3 | 0.4 | 1.4 | -2.3 | 0.1 | -1.2 | 1.1 | 1.6 |
| 2008 | -0.5 | -4 | 0.1 | 0.1 | 0.6 | 0 | 0.3 | 0.7 | 2.3 | -0.3 | 1.3 | 1.5 | 1.8 |
| 2009 | 0.5 | 0.4 | 1.9 | 2.2 | -2.2 | 1.5 | 1 | 1.1 | -0.5 | 0.3 | 0.9 | 0.2 | 7.5 |
| 2010 | 0.3 | 0.2 | -0.4 | 0.4 | 0.5 | -0.2 | 0.4 | 0.8 | 0.4 | -0.1 | -0.7 | 0.9 | 2.5 |
| 2011 | 0.9 | 0.1 | 0 | 0.6 | 0.2 | 0.4 | 0.6 | -0.5 | 0.2 | 0.1 | 0.2 | 0.6 | 3.4 |
| 2012 | 0.5 | -0.4 | -0.8 | 1.7 | -1 | 0.6 | 0.1 | -0.4 | 0.1 | 0.3 | 0.4 | -0.2 | 0.8 |
| 2013 | 0.5 | -0.7 | -0.5 | 0.8 | -2.2 | 0.2 | -0.6 | 0.3 | 0.1 | -1.1 | 0.1 | 0.2 | -2.7 |
| 2014 | 0.8 | 0.3 | -0.2 | 0.4 | -0.1 | -0.4 | -0.5 | 0.4 | -0.1 | -0.3 | 0.1 | 0.3 | 0.4 |
| 2015 | 0.7 | 1 | 0 | -0.7 | 0.7 | 0.8 | 0.5 | 0.6 | 0.3 | 0.2 | 0.5 | 0 | 4.6 |
| 2016 | 0.1 | 0.6 | 0 | 0.2 | 1.2 | 0.1 | 0.1 | 0.5 | -1.1 | 0.4 | 0.5 | 0.3 | 3 |
| 2017 | -0.2 | -0.1 | 0.5 | -0.1 | 0.7 | -0.2 | 0.7 | 0.1 | 0.2 | 0.3 | 0.3 | 0.3 | 2.5 |
| 2018 | 0 | 0 | 0 | 0.2 | 0.1 | 0.2 | -0.3 | -0.1 | -0.3 | 0 | 0.4 | 0.8 | 1 |
| 2019 | -0.5 | 0.3 | 0.6 | 0.4 | 0.6 | 0.3 | 0.3 | 0.8 | 0 | 0.1 | -0.2 | 0.1 | 2.8 |
| 2020 | 0.2 | -1.7 | -3.9 | 0.1 | -0.1 | 0.3 | 0.7 | 0.8 | 0.1 | -0.3 | -0.6 | 0.2 | -4.4 |
| 2021 | -0.2 | 0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
